Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0338 |
| Annualized Std Dev | 0.1980 |
| Annualized Sharpe (Rf=0%) | 0.1708 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1136 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1279 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0125 |
| Skewness | 0.2587 |
| Kurtosis | 12.6604 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.5567 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0291 |
| Modified VaR (95%) | -0.0162 |
| Modified ES (95%) | -0.0162 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-14 | 2002-10-09 | 2006-08-21 | -0.5567 | 1427 | 454 | 973 |
| 2007-12-11 | 2009-03-09 | 2014-10-24 | -0.4876 | 1731 | 312 | 1419 |
| 2020-02-19 | 2020-03-23 | NA | -0.3670 | 275 | 24 | NA |
| 1999-07-22 | 2000-02-25 | 2000-09-28 | -0.2504 | 302 | 152 | 150 |
| 2015-01-30 | 2015-09-04 | 2016-03-29 | -0.1710 | 292 | 152 | 140 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.2 | -1.5 | 2.1 | -1.3 | -0.1 | -0.4 | 0.2 | 0.4 | -0.7 | 0.9 | 0.5 | 0.9 | 0.9 |
| 2000 | -0.7 | 4.4 | 0.6 | 0 | 0.7 | -2.4 | 2.2 | 1.2 | 1.5 | -0.6 | -1.9 | 1.1 | 6.1 |
| 2001 | 1.2 | -1.1 | 0.7 | 0.9 | -0.8 | 1.1 | 1.2 | 0.1 | 0.9 | 0.8 | -0.4 | 0 | 4.6 |
| 2002 | 0.2 | 2.2 | -1 | 0.9 | -0.8 | -2.1 | -1.5 | -1.5 | 1.6 | 0.5 | 0.4 | -0.2 | -1.3 |
| 2003 | 1.1 | -0.1 | 0.7 | -1.4 | 1 | -0.7 | -0.4 | 0.2 | 0.1 | -0.2 | 0.3 | -0.2 | 0.5 |
| 2004 | -0.2 | 0.5 | 0.3 | -0.1 | -0.1 | -1.2 | 0.7 | -0.3 | 0.8 | 0.8 | -0.9 | -0.5 | -0.2 |
| 2005 | 0.7 | 0.3 | 0.3 | 1.4 | 1.3 | 0.9 | -1.3 | 1.6 | -0.1 | -2 | 0.4 | -0.5 | 2.9 |
| 2006 | 0.3 | -0.3 | -0.7 | -0.9 | 1 | 0.4 | 1.2 | 0.1 | -1 | 0.6 | -0.1 | 0 | 0.6 |
| 2007 | 0.8 | 0.5 | -1 | 0.8 | -0.5 | 0.8 | 2.3 | -0.2 | 1.4 | -2 | 0.7 | -1.4 | 2 |
| 2008 | 2.6 | -2.9 | 2.6 | 1.2 | -0.7 | 0.5 | -2.9 | -1.4 | -0.4 | -2.7 | -6.6 | 1.6 | -9.1 |
| 2009 | -2 | -1.6 | 0.4 | 2.6 | 3.2 | 1.3 | -1.3 | -0.8 | -1.7 | -1.9 | 1.9 | -1.4 | -1.4 |
| 2010 | 0.6 | 1.4 | 1.4 | 0.4 | -2.3 | -0.5 | -0.5 | 2.2 | 0.5 | -1 | 1.2 | 0 | 3.5 |
| 2011 | 1 | -1 | 0.8 | 0.2 | -1 | 1.2 | 0.3 | -0.6 | -1.1 | -2.1 | -0.3 | -0.7 | -3.4 |
| 2012 | 0.3 | 0.3 | 0.5 | 0.5 | -0.4 | 0.6 | -0.8 | -0.1 | -0.5 | -1 | 1.1 | 1.4 | 1.8 |
| 2013 | 0.3 | 0.2 | -0.2 | -1 | -0.6 | -1.2 | 0.8 | 0.1 | 0.3 | 0.7 | -0.1 | 0.2 | -0.6 |
| 2014 | 0.8 | 0.7 | -0.7 | 0.4 | 0.7 | -1 | 0.4 | 0.7 | 0.6 | 0 | 0.2 | -1.8 | 0.9 |
| 2015 | -2.2 | -0.1 | 0.1 | 0.6 | 0.1 | 0.6 | 1 | -2.7 | -1.2 | 0.5 | 0.8 | -1.1 | -3.6 |
| 2016 | 0.9 | -0.5 | 0.4 | 0.6 | 0.3 | 0 | 0.1 | -0.5 | -0.7 | -1.8 | -0.8 | -0.6 | -2.6 |
| 2017 | -1.7 | -0.9 | 0.4 | -0.6 | 0.7 | -0.2 | 0.6 | -0.3 | -0.1 | -0.6 | -0.3 | 0.1 | -2.9 |
| 2018 | -1.6 | 0 | 0.5 | -0.3 | -1.5 | 0.2 | -0.6 | -0.4 | -0.3 | -0.4 | 1.5 | 0.2 | -2.9 |
| 2019 | -0.4 | 0.2 | -0.7 | -1 | 0.5 | -0.3 | 1 | 0 | -0.2 | -0.2 | -0.1 | 0.4 | -0.8 |
| 2020 | -0.4 | -3.3 | -6 | -2.4 | 1.2 | 2.3 | 0.2 | -1.1 | 1 | -0.9 | 0.7 | 1.5 | -7.4 |
| 2021 | 0.5 | 2.2 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
